V-Lab: Norwegian Krone AGARCH Volatility Analysis

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V-Lab

Norwegian Krone AGARCH Volatility Analysis

Volatility Prediction for Monday, September 25th, 2023:8.85% (+0.12%)

Analysis last updated: Friday, September 22, 2023 at 07:19 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0020	13.36
$α$	0.0295	25.16
$β$	0.9650	744.61
$γ$	-0.0584	-4.33

Estimation Period:
Jan 2, 1990 to Sep 22, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts